CORN Options History — November 2017

In November 2017, CORN traded between $16.70 and $17.40. ATM implied volatility averaged 13.8%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.2% (HV 20d: 10.6%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-11-10: Highest Volume — 1,888 contracts
  • 2017-11-07: Largest IV spike — 25.2% change
  • 2017-11-07: Highest IV Rank — 24.6%
  • 2017-11-21: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.03$16.70$17.40$17.31$16.99
Max Pain$17.67$17.00$18.00$18.00$18.00
ATM IV13.8%11.3%17.1%11.3%14.5%
Expected Move3.9%3.2%4.3%3.2%4.2%
HV 20d10.6%9.8%12.2%9.9%11.5%
HV 60d12.1%10.5%13.6%13.6%10.5%
IV Rank10.6%0.0%24.6%0.0%13.8%
IV Percentile7.7%0.0%29.4%0.0%13.1%
Term Structure0.6%-0.7%4.3%4.3%0.4%
VWIV14.2%11.5%21.3%16.2%14.9%
Skew 25d-1.0%-5.2%4.3%-2.5%0.4%
Skew 10d-0.8%-8.6%6.5%-3.3%0.6%
Call IV 25d13.0%9.5%15.9%15.9%13.2%
Put IV 25d12.0%8.9%18.6%13.4%13.6%
Bid-Ask Spread %29.049.8681.8969.8318.45
Gamma HHI0.450.340.660.350.44
Net GEX-90.5K-201.6K10.6K5.7K-83.8K
Net DEX1.3M-69.6K2.4M132.7K1.1M
Net VEX-13.8K-16.6K-11.2K-14.8K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.203.060.232.74
Total Volume1,208.6196671,8881,4261,875
Total OI10,421.2867,25912,28311,7178,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$17.31$18.0011.3%3.2%9.9%0.0%16.2%-2.5%4.3%5.7K132.7K-14.8K0.2369.83N/AN/A1,1572697,9853,732
2017-11-02$17.40$17.0012.4%3.8%10.0%4.7%13.3%-1.8%-0.2%10.6K-69.6K-14.2K0.209.97N/AN/A1,1642347,9863,740
2017-11-03$17.33$17.0013.0%3.8%10.1%7.1%13.4%-2.7%0.6%-45.5K238.3K-13.7K0.2019.03N/AN/A1,1692388,0183,748
2017-11-06$17.27$17.0013.6%3.6%10.1%10.0%11.5%-1.4%2.0%-18.2K244.4K-13.5K0.2120.69N/AN/A1,2212628,0253,749
2017-11-07$17.29$17.0017.1%4.0%10.2%24.6%13.7%-2.7%-0.5%-59.6K535.8K-12.7K0.2114.94N/AN/A1,2212627,9593,769
2017-11-08$17.25$17.0014.2%4.1%9.8%12.4%14.1%-1.7%-0.5%-79.6K610.5K-12.3K0.2117.77N/AN/A1,0852247,9593,769
2017-11-09$17.01$17.0012.9%3.7%10.7%6.9%13.5%-5.2%0.4%-162.9K1.4M-12.2K0.6272.01N/AN/A5093147,9583,769
2017-11-10$17.05$17.0012.4%3.6%9.9%4.9%12.4%0.9%0.9%-163.5K1.4M-11.9K3.0676.69N/AN/A4651,4237,9863,874
2017-11-13$16.97$18.0013.1%3.7%9.9%7.6%13.1%0.1%0.5%-201.6K1.7M-11.6K2.0781.89N/AN/A4991,0327,9703,944
2017-11-14$16.77$18.0011.9%3.4%10.5%2.7%11.9%-2.1%1.8%-146.5K2.3M-11.2K1.5717.27N/AN/A5718977,9473,933
2017-11-15$16.80$18.0014.1%4.0%10.6%11.9%14.0%-1.5%0.1%-135.0K2.2M-11.9K0.349.86N/AN/A5531868,0094,045
2017-11-16$16.70$18.0014.6%4.2%10.7%14.1%14.5%-3.8%-0.0%-116.4K2.4M-11.4K0.5119.12N/AN/A6313198,0564,038
2017-11-17$16.98$18.0014.6%4.2%12.2%13.9%13.4%-0.3%1.6%-113.9K2.0M-13.6K0.2215.51N/AN/A1,3152838,1224,161
2017-11-20$16.99$18.0014.1%4.0%10.8%11.8%13.4%0.4%-0.4%-98.1K1.6M-13.9K0.2814.13N/AN/A5221454,1063,153
2017-11-21$16.99$18.0015.0%4.3%10.6%15.9%14.6%0.9%-0.5%-87.7K1.4M-14.9K0.4022.98N/AN/A6362564,3363,192
2017-11-22$17.04$18.0013.1%3.8%10.7%7.8%21.3%1.1%1.2%-92.5K1.3M-16.6K0.6247.62N/AN/A4192594,6053,399
2017-11-24$16.93$18.0014.5%4.2%10.8%13.6%14.5%-0.7%-0.7%-88.8K1.7M-15.6K0.5320.41N/AN/A5282804,6113,421
2017-11-27$16.84$18.0014.4%4.1%10.8%13.2%14.4%-1.7%-0.3%-71.6K1.7M-15.8K0.4816.43N/AN/A5422624,7593,429
2017-11-28$16.73$18.0014.8%4.2%10.9%14.8%15.8%4.3%-0.7%-67.7K1.9M-14.6K1.0513.08N/AN/A5145404,9073,434
2017-11-29$16.92$18.0013.8%3.9%11.6%10.6%13.8%-0.8%1.5%-84.6K1.5M-16.3K1.0312.19N/AN/A5425584,9783,596
2017-11-30$16.99$18.0014.5%4.2%11.5%13.8%14.9%0.4%0.4%-83.8K1.1M-16.4K2.7418.45N/AN/A5011,3745,0743,596